{"id":41772,"date":"2020-12-30T20:21:53","date_gmt":"2020-12-31T01:21:53","guid":{"rendered":"http:\/\/prefblog.com\/?p=41772"},"modified":"2020-12-30T20:21:53","modified_gmt":"2020-12-31T01:21:53","slug":"december-30-2020","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=41772","title":{"rendered":"December 30, 2020"},"content":{"rendered":"

PerpetualDiscounts now yield 5.05%, equivalent to 6.56% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported December 16<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2680 %<\/td>\n1,896.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2680 %<\/td>\n3,479.1<\/td>\n<\/tr>\n
Floater<\/td>\n4.58 %<\/td>\n4.57 %<\/td>\n77,058<\/td>\n16.27<\/td>\n2<\/td>\n0.2680 %<\/td>\n2,005.0<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0462 %<\/td>\n3,624.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.78 %<\/td>\n4.33 %<\/td>\n41,667<\/td>\n3.79<\/td>\n9<\/td>\n-0.0462 %<\/td>\n4,328.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0462 %<\/td>\n3,377.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.34 %<\/td>\n0.51 %<\/td>\n70,904<\/td>\n0.09<\/td>\n19<\/td>\n0.0503 %<\/td>\n3,206.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.00 %<\/td>\n5.05 %<\/td>\n73,922<\/td>\n15.39<\/td>\n12<\/td>\n0.3514 %<\/td>\n3,683.5<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.03 %<\/td>\n3.88 %<\/td>\n144,178<\/td>\n17.32<\/td>\n56<\/td>\n0.1481 %<\/td>\n2,323.6<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n5.06 %<\/td>\n4.84 %<\/td>\n88,571<\/td>\n15.35<\/td>\n22<\/td>\n0.1032 %<\/td>\n3,555.1<\/td>\n<\/tr>\n
FloatingReset<\/td>\n1.90 %<\/td>\n2.11 %<\/td>\n36,869<\/td>\n1.07<\/td>\n3<\/td>\n0.0327 %<\/td>\n1,853.9<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.16 %<\/td>\n3.15 %<\/td>\n212,199<\/td>\n0.78<\/td>\n22<\/td>\n0.0274 %<\/td>\n2,679.9<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.93 %<\/td>\n1.82 %<\/td>\n166,555<\/td>\n1.07<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,881.5<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.10 %<\/td>\n3.89 %<\/td>\n87,652<\/td>\n17.20<\/td>\n22<\/td>\n0.1010 %<\/td>\n2,402.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset Disc<\/td>\n-9.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 13.41
\nEvaluated at bid price : 13.41
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
IAF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n-6.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset Ins Non<\/td>\n-2.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n-2.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset Disc<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 23.30
\nEvaluated at bid price : 23.77
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 10.25
\nEvaluated at bid price : 10.25
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 15.19
\nEvaluated at bid price : 15.19
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset Disc<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
NA.PR.G<\/td>\nFixedReset Disc<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 22.23
\nEvaluated at bid price : 22.65
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset Disc<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset Disc<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 16.98
\nEvaluated at bid price : 16.98
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset Ins Non<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset Disc<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 13.20
\nEvaluated at bid price : 13.20
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset Disc<\/td>\n2.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset Ins Non<\/td>\n3.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 22.90
\nEvaluated at bid price : 23.39
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset Disc<\/td>\n124,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 21.64
\nEvaluated at bid price : 21.97
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n44,200<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 20.74
\nEvaluated at bid price : 20.74
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
TD.PF.G<\/td>\nFixedReset Prem<\/td>\n30,620<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.48
\nBid-YTW : 2.34 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset Disc<\/td>\n24,750<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n18,400<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
BMO.PR.D<\/td>\nFixedReset Disc<\/td>\n17,300<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 23.84
\nEvaluated at bid price : 24.20
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
There were 4 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
RY.PR.M<\/td>\nFixedReset Disc<\/td>\nQuote: 21.28 – 25.50
\nSpot Rate : 4.2200
\nAverage : 3.4422<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 21.28
\nEvaluated at bid price : 21.28
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n

TRP.PR.D<\/td>\nFixedReset Disc<\/td>\nQuote: 13.41 – 15.30
\nSpot Rate : 1.8900
\nAverage : 1.1581<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 13.41
\nEvaluated at bid price : 13.41
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n

IAF.PR.I<\/td>\nFixedReset Ins Non<\/td>\nQuote: 21.10 – 22.85
\nSpot Rate : 1.7500
\nAverage : 1.0542<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 21.10
\nEvaluated at bid price : 21.10
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n

IAF.PR.G<\/td>\nFixedReset Ins Non<\/td>\nQuote: 19.10 – 20.79
\nSpot Rate : 1.6900
\nAverage : 1.2533<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 19.10
\nEvaluated at bid price : 19.10
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 13.20 – 13.95
\nSpot Rate : 0.7500
\nAverage : 0.4493<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 13.20
\nEvaluated at bid price : 13.20
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n

MFC.PR.L<\/td>\nFixedReset Ins Non<\/td>\nQuote: 17.90 – 18.75
\nSpot Rate : 0.8500
\nAverage : 0.5911<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-12-30
\nMaturity Price : 17.90
\nEvaluated at bid price : 17.90
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.05%, equivalent to 6.56% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-41772","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41772","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=41772"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41772\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=41772"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=41772"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=41772"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}